1. British Bankers Association. (2006) Credit Derivatives Report 2006. London, September.
2. Bank for International Settlement. (2008) OTC Derivatives Market Activity in the First Half of 2008. Basel, November.
3. CLN are designed to enable investors to capture returns on a single reference entity (an underlying bond or loan).
4. Credit spread products are options or forwards on the credit spread of bonds, loans or other credit risk-related assets. These instruments allow the separate trading of the credit spread for the purpose of risk reduction, speculation or return enhancement.
5. CDO is the generic term used for credit portfolio securitisation. It entails repackaging credit portfolios (loans/bonds and/or derivatives) for sale to investors. Thus, a CDO can be described as a combination of a fixed income security with an embedded credit derivative.